I know this thread is over 4 years old but I just stumbled across it and thought that I could add a little to the last post that may help others.
I am normally turning pens but have done a fair amount of scroll sawing in the past. The last post had an attachment ChessmenManual.pdf that shows using a scroll saw to cut the Knight, on pages 3 and 4. It is a lot easier and IMO better if you make copies of the Knight's head and attach them to the spindle head with an adhesive. Then cut one face completely, does not matter which face. Then use some tape to secure the piece(s) removed back onto the spindle stock. Now saw the remaining face. By reattaching the removed piece(s) the spindle head becomes more stable for the second cut. You will not have to follow the instructions in the pdf to made the cuts 1 through 8 in the sequence shown. You are down to 2 cuts non-stop.
Below is a deer abut 2 1/2 inches tall that I made out of redwood scrap.
I then made a Christmas decoration with 9 deer.
The pattern that I used for the deer is shown below.